Performance and Ranking of Equity Mutual Funds in Chile from 1992 to 1995

Authors

  • Franco Parisi Universidad de Chile image/svg+xml
  • Antonino Parisi ILADES-Loyola College

Keywords:

mutual funds, Chile, performance, ranking, time-varying coefficients, capital market

Abstract

In developed economies, Mutual Funds (MFs) show a poor return performance compared to simple investment strategies. The majority of the empirical evidence regarding the performance of MFs has been obtained using traditional time-invarying estimators. In this research, however, we validate the international evidence in the Chilean MF industry, using both the traditional method and the time-varying method. The time-varying method allows us to obtain time-varying coefficients, yielding robust performance results of the MFs and simple investment techniques. The conclusions of the poor return performance in the Chilean MFs industry can be considered robust due to the method used, in spite of the short time period studied. Also, the results suggest that the capital market regulatory agency could give small investors more information about the MF return performance, including measurements that consider both the return and risk.

Downloads

Download data is not yet available.

References

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1

Berndt, E., Hall, B., Hall, R., & Hausman, J. (1974). Estimation and inference in non-linear structural models. Annals of Economic and Social Measurement, 3(4), 653–665.

Chang, E., & Lewellen, W. (1984). Market timing and mutual fund investment performance. Journal of Business, 57(1), 57–72. https://doi.org/10.1086/296224

Crenshaw, T. (1977). The evaluation of investment performance. Journal of Business, 50(4), 462–485.

Dickey, D., & Fuller, W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057–1072. https://doi.org/10.2307/1912517

Elton, E., & Gruber, M. (1977). Risk reduction and portfolio size: An analytical solution. Journal of Business, 50(4), 415–437. https://doi.org/10.1086/295964

Fama, E., & French, K. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–465. https://doi.org/10.2307/2329112

Fama, E., & MacBeth, J. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607–636. https://doi.org/10.1086/260061

Farrar, D. (1962). The investment decision under uncertainty. Prentice-Hall.

Friend, I., Blume, M., & Crockett, J. (1970). Mutual funds and other institutional investors. McGraw-Hill.

Friend, I., & Vickers, D. (1965). Portfolio selection and investment performance. Journal of Finance, 20(3), 391–415. https://doi.org/10.2307/2977990

Greene, W. (1990). Econometric analysis. Macmillan.

Grinblatt, M., & Titman, S. (1989). Mutual fund performance: An analysis of quarterly holding. Journal of Business, 62(3), 393–416.

Grinblatt, M., & Titman, S. (1992). The persistence of mutual fund performance. Journal of Finance, 47(5), 1977–1984. https://doi.org/10.2307/2329005

Henriksson, R., & Merton, R. (1981). On market timing and investment performance II. Statistical procedures for evaluating forecast skills. Journal of Business, 54(4), 513–533.

Henriksson, R. (1984). Market timing and mutual fund performance: An empirical investigation. Journal of Business, 57(1), 73–96. https://doi.org/10.1086/296225

Jensen, M. (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23(2), 389–416. https://doi.org/10.2307/2325404

Mains, N. (1977). Risk, the pricing of capital assets, and the evaluation of investment portfolios: Comment. Journal of Business, 50(3), 377–384. https://doi.org/10.1086/295952

Malkiel, B. (1995). Returns from investing in equity mutual funds 1971 to 1991. Journal of Finance, 50(2), 549–572. https://doi.org/10.1111/j.1540-6261.1995.tb04795.x

McDonald, J. (1974). Objectives and performance of mutual funds, 1960-1969. Journal of Financial and Quantitative Analysis, 9(3), 311–333. https://doi.org/10.2307/2329866

Sharpe, W. (1966). Mutual fund performance. Journal of Business, 39(Suplemento especial), 119–138. https://doi.org/10.1086/294846

Treynor, J. (1965). How to rate management of investment funds. Harvard Business Review, 43(enero-febrero), 63–75.

Treynor, J., & Mazuy, F. (1966). Can mutual funds outguess the market? Harvard Business Review, 44, 131–136.

Williamson, P. (1972). Measurement and forecasting of mutual fund performance: Choosing an investment strategy. Financial Analysts Journal, 28, 78–84. https://doi.org/10.2469/faj.v28.n6.78

Downloads

Published

1997-10-31

How to Cite

Parisi, F., & Parisi, A. (1997). Performance and Ranking of Equity Mutual Funds in Chile from 1992 to 1995. Economic Analysis Review, 12(2), 100–123. Retrieved from https://www.rae-ear.org/index.php/rae/article/view/143

Issue

Vol. 12 No. 2 (1997)

Section

Articles

License

Copyright (c) 1997 Franco Parisi, Antonino Parisi

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Article usage

ViewsTimes this article's page was opened since the journal started recording statistics. One person can visit more than once.
127
DownloadsTimes the full text of this article (usually the PDF) was opened or downloaded.
196

All time, as recorded by the journal.

Last 2 years: 50 views, 125 downloads.

1.54 downloads per view (journal average 1.65).Downloads of the full text for every abstract view of this article, compared with the whole journal.

Explore the journal's metrics